Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori
| Year of publication: |
April-June 2016
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|---|---|
| Authors: | Takahashi, Makoto ; Watanabe, Toshiaki ; Omori, Yasuhiro |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 437-457
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| Subject: | Backtesting | Expected shortfall | Generalized hyperbolic skew Student's tt-distribution | Markov chain Monte Carlo | Realized volatility | Stochastic volatility | Value-at-risk | Volatilität | Volatility | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597142